Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0958 |
| Annualized Std Dev | 0.2216 |
| Annualized Sharpe (Rf=0%) | 0.4322 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3249.0000 |
| NAs | 1.0000 |
| Minimum | -0.1536 |
| Quartile 1 | -0.0046 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1502 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0140 |
| Skewness | -0.5972 |
| Kurtosis | 22.2349 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0103 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.5385 |
| Historical VaR (95%) | -0.0198 |
| Historical ES (95%) | -0.0340 |
| Modified VaR (95%) | -0.0185 |
| Modified ES (95%) | -0.0185 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-18 | 2009-03-06 | 2010-11-04 | -0.5385 | 582 | 276 | 306 |
| 2020-02-21 | 2020-03-23 | 2021-02-24 | -0.4618 | 255 | 22 | 233 |
| 2011-07-08 | 2011-10-03 | 2012-03-15 | -0.2345 | 174 | 61 | 113 |
| 2015-06-22 | 2016-02-11 | 2016-07-18 | -0.1992 | 271 | 163 | 108 |
| 2018-09-24 | 2018-12-24 | 2019-04-05 | -0.1912 | 134 | 64 | 70 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | 0.3 | 0.4 | 0.6 | -0.3 | 1.5 | 0.9 | -1 | 0.2 | -0.2 | 2.3 |
| 2008 | 1.4 | 1.1 | -0.1 | 0.8 | 0.7 | -0.6 | 1 | 0.2 | 0.1 | 1.7 | 2.2 | 5 | 14.1 |
| 2009 | -4.5 | -0.3 | -0.2 | 2.4 | 0.6 | 0.8 | 0 | -1.6 | -1.9 | -0.3 | 2 | 0 | -3.1 |
| 2010 | 0.4 | 1.5 | 0.8 | -0.8 | 1.3 | -0.5 | -0.1 | 2.6 | 0 | -0.2 | 1.4 | -0.1 | 6.4 |
| 2011 | 1.8 | -0.4 | 0.7 | 0.5 | -1.9 | 1.6 | -1 | -1.1 | -1.4 | -2.9 | 0.4 | 0.4 | -3.3 |
| 2012 | 1.3 | 0.4 | 0.5 | 1.2 | -3.3 | 2.3 | -0.3 | 0.3 | 0.3 | 1.4 | -0.2 | 1.1 | 5.1 |
| 2013 | 1.1 | 0.1 | -0.8 | -0.7 | -0.8 | 0.5 | 1.9 | -1.1 | 1.1 | -0.1 | -0.2 | 0.2 | 1.1 |
| 2014 | -0.7 | 0 | 0.7 | 0.3 | 0.2 | 1 | -0.4 | 0.4 | -2.2 | 1.4 | -1.5 | -1 | -1.8 |
| 2015 | -0.4 | 0 | -0.3 | 0.8 | 0.3 | 0.3 | 0.3 | -2.8 | 0.3 | -0.2 | 0.3 | -0.7 | -2.1 |
| 2016 | 0.4 | 1.4 | 0.5 | -0.6 | 0.8 | 0.4 | -0.2 | 0 | 1 | -1 | -0.5 | -0.3 | 1.9 |
| 2017 | -0.2 | 0.9 | 0 | -0.1 | 1.2 | 0.5 | 0.5 | 0.3 | 0.3 | 0.1 | -0.2 | -0.2 | 3.2 |
| 2018 | 0.2 | -0.8 | 1.6 | -0.4 | 0.8 | 0.2 | -0.4 | 0 | 0 | 2 | 0.6 | 1 | 5 |
| 2019 | 0.4 | 0.2 | 1.3 | -0.7 | -0.6 | 0.8 | -1.3 | 0.2 | -1.8 | 1.4 | -1.7 | 0.2 | -1.8 |
| 2020 | -1.5 | -2.3 | -7 | -3.2 | 0.9 | -0.7 | -0.3 | 0.3 | 0.4 | 0.1 | 1.2 | 0.6 | -11.2 |
| 2021 | 1.1 | 2.3 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
